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|Title:||On preliminary test and shrinkage estimation in linear models with long-memory errors|
Preliminary test estimation
|Citation:||Mukherjee, K. (1998-06-15). On preliminary test and shrinkage estimation in linear models with long-memory errors. Journal of Statistical Planning and Inference 69 (2) : 319-328. ScholarBank@NUS Repository.|
|Abstract:||This paper discusses the problem of estimating a subset of parameters when the complementary subset is possibly redundant, in a linear regression model when the errors are generated from a long-memory process. Such a model arises due to the overmodelling of a situation involving long-memory data. Along with the classical least-squares estimator and restricted least-squares estimator, preliminary test least-squares estimator and shrinkage least-squares estimator are investigated in an asymptotic set-up and their relative performances are studied under contiguous alternatives. The contiguous alternatives under such dependence are fundamentally different from those under the independent errors case, © 1998 Elsevier Science B.V. All rights reserved.|
|Source Title:||Journal of Statistical Planning and Inference|
|Appears in Collections:||Staff Publications|
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